Selenium (Se) is vital for health because of its antioxidative and anti-inflammation functions. The aim of this study was to determine if dietary selenium could inhibit the rat lung injury induced by ambient fine particulate matter (PM). Sprague-Dawley rats were randomly allocated in seven groups (n = 8). The rats in PM exposure group were intratracheally instilled with 40 mg/kg of body weight (b.w.) of PM suspension. The rats in Se prevention groups were pretreated with 17.5, 35, or 70 μg/kg b.w. of Se for 4 weeks, respectively. Then, the rats were exposed to 40 mg/kg b.w. of PM in the fifth week. The bronchoalveolar lavage fluid (BALF) was collected to count the neutrophil numbers and to analyze the cytokines (tumor necrosis factor-α (TNF-α), interleukin-1β (IL-1β), soluble intercellular adhesion molecule-1 (sICAM-1)) related to inflammation, the markers related to oxidative stress (total antioxidant capacity (T-AOC), total superoxide dismutase (T-SOD), glutathione peroxidase (GSH-Px), and malondialdehyde (MDA)), and the indicators related to cell damage (lactate dehydrogenase (LDH), total protein (TP), alkaline phosphatase (AKP)). The lung lobe that has not undergone bronchoalveolar lavage was processed for light microscopic examination. The results showed that the proportions of neutrophils in the BALF and the pathologic scores of the lung in PM-exposed groups were higher than that in the control group (P < 0.05). Se pretreatment caused a dose-dependent decrease in TNF-α, IL-1β, sICAM-1, LDH, TP, AKP, and MDA when compared with the PM-only exposure group. Meanwhile, the dose-dependent increase in T-AOC, T-SOD, and GSH-Px activities were observed in rats pretreated with Se. In conclusion, Se pretreatment may protect rat lungs against inflammation and oxidative stress induced by PM, which suggests that Se plays an important role as a kind of potential preventative agent to inhibit the PM-induced lung injury.